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Ledoit-Wolf Bayes-Stein shrinkage models into the Portfolio Optimizer to improve covariance estimation. This provides valuable information for spotting and evaluating volatility skew trading strategies eg risk reversals.Ĭalls and puts can also optionally be shown separately in the IV surface matrix. Calls and puts can now optionally be shown separately on the one IV skew chart to highlight the differences between call and put IV and to visually identify skew crossover points. For instructions see "Notes on Interactive Brokers" in the option chain section of the function reference manual. Interactive Brokers delayed quotes: Delayed quotes can now be requested instead of the default real-time quotes eg for paper trading. See the Finance Add-in Function Reference for more information.
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Users of the IB data feed in the Finance Add-in for Excel should note that the new API requires version IB users should also ensure they are using TWS build or later. Interactive Brokers IB streaming quotes bug fix: Fixed bug introduced in version Interactive Brokers IB bit compatibility release: IB streaming quotes and option chains will now run under Excel bit. Option chains through Yahoo: Yahoo has been added as a provider of free US option chains as a faster alternative to using CBOE.
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Option chains through CBOE: Update to handle changes at CBOE. Rho for futures options: Corrects an error in the calculation of Rho for futures options functions HoadleyOptions1 and HoadleyOptions2. Option chains through ASX: Update to handle format changes at The Australian Securities Exchange ASX. New versions of the Personal edition version 3. Yahoo historical prices download: Update to handle changes made by Yahoo to their historical prices download service. The add-in will automatically use the Yahoo adjusted price if present. Update 10 June Yahoo has started providing adjusted prices again. Until this problem is corrected by Yahoo, adjusted closing prices will optionally be calculated for historic prices downloaded from Yahoo. Options Strategy Evaluation Tool OSET: Adjusted closing prices from Yahoo: Yahoo has recently stopped adjusting closing prices for dividends. The latest versions of other applications that use the add-in are.
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The latest version of the Finance Add-in for Excel is You can download the full version free of charge for one year from date of purchase.